November 2013
Beginner
164 pages
3h 46m
English
book
Introduction to R for Quantitative Finance
by Gergely Daróczi, Michael Phule, Edina Berlinger (EURO), Peter Csoka, Daniel Daniel Havran, Marton Michaletzky, Zsolt Tulassay, Kata Váradi, Agnes Vidovics-Dancs, Agnes Vidovics Dancs
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Chapter 5. Estimating the Term Structure of Interest Rates
In the previous chapter we discussed how changes in the level of interest rates, the term structure, affect the prices of fixed income securities. Now we focus on the estimation of the term structure of interest rates, which is a fundamental concept in finance. It is an important input in almost all financial decisions. This chapter will introduce term structure estimation methods by cubic spline regression, and it will demonstrate how one can estimate the term structure of interest rates using the termstrc package and the govbonds dataset.
The term structure of interest rates and related functions
A t-year zero-coupon bond with a face value of 1 USD is a security that pays 1 USD at maturity, ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.